Daniel, Kent
[VerfasserIn]
;
Klos, Alexander
[Sonstige Person, Familie und Körperschaft];
Rottke, Simon
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Overconfidence, Information Diffusion, and Mispricing Persistence
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, 2018
Erschienen in:NBER working paper series ; no. w25346
Umfang:
1 Online-Ressource; illustrations (black and white)
Sprache:
Englisch
DOI:
10.3386/w25346
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
System requirements: Adobe [Acrobat] Reader required for PDF files
Mode of access: World Wide Web
Beschreibung:
We propose a dynamic heterogeneous agents model which generates testable hypotheses about the formation, timing and bursting of asset price bubbles in the presence of short-sale constraints, given a calibration that is consistent with momentum and reversal effects for unconstrained assets. Consistent with the model, all short-sale constrained stocks earn strong negative risk-adjusted returns in the first year after portfolio formation. However, the calibrated model predicts strong differences in the mispricing persistence of past-winners and losers. After one year, the alpha of past-losers is approximately zero (0.23%/mo, t=0.85), while the alpha for past-winners is -0.75%/mo (t=-5.82) over the following four years